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- W2515351663 abstract "This paper investigates the impact of ex ante implied volatility on stock price realized jumps. In particular, it examines how the different behaviors of informed and noise traders affect stock price jumps. We find that ex ante implied volatility interacts with the level of information quality for a stock when leading realized jumps, and that the direction of the relation changes across the states of the business cycle. We also document an asymmetric impact from ex ante implied volatility on price jumps across stocks with different degrees of information-based trading activity." @default.
- W2515351663 created "2016-09-16" @default.
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- W2515351663 date "2016-12-01" @default.
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- W2515351663 title "Impacts of implied volatility on stock price realized jumps" @default.
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- W2515351663 doi "https://doi.org/10.1016/j.ecosys.2016.02.007" @default.
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